help: lmhharv dialog:

Title

lmhharv: OLS Harvey Lagrange Multiplier Heteroscedasticity Test

Syntax

lmhharv depvar indepvars [if] [in] [weight] , [ noconstant vce(vcetype) ]

Options

noconstant suppress constant term

SE/Robust
vce(vcetype) vcetype may be ols,
robust, cluster clustvar, bootstrap,
jackknife, hc2, or hc3

Description

lmhharv computes Harvey Lagrange Multiplier Heteroscedasticity Test for OLS residuals after regress command.

Saved Results

lmhharv saves the following in r():

r(lmh) Harvey IM Test
r(lmhp) Harvey IM Test P-Value
r(lmhdf) Chi2 Degrees of Freedom

References

Damodar Gujarati (1995)
"Basic Econometrics"
3rd Edition, McGraw Hill, New York, USA.

Examples

clear all

sysuse lmhharv.dta, clear

db lmhharv

lmhharv y x1 x2

return list

. clear all
. sysuse lmhharv.dta , clear
. lmhharv y1 x1 x2

Source | SS df MS Number of obs = 17
-------------+------------------------------ F( 2, 14) = 136.68
Model | 8460.93712 2 4230.46856 Prob > F = 0.0000
Residual | 433.313039 14 30.9509313 R-squared = 0.9513
-------------+------------------------------ Adj R-squared = 0.9443
Total | 8894.25016 16 555.890635 Root MSE = 5.5634

------------------------------------------------------------------------------
y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x1 | 1.061709 .2666739 3.98 0.001 .4897506 1.633668
x2 | -1.382986 .0838143 -16.50 0.000 -1.562749 -1.203222
_cons | 130.7066 27.09429 4.82 0.000 72.59515 188.8181
------------------------------------------------------------------------------

==============================================================================
* OLS Harvey Lagrange Multiplier Heteroscedasticity Test
==============================================================================
Ho: No Heteroscedasticity - Ha: Heteroscedasticity

Harvey LM Test = 3.42061
Degrees of Freedom = 2.0
P-Value > Chi2(2) = 0.18081

Author

Emad Abd Elmessih Shehata
Assistant Professor
Agricultural Research Center - Agricultural Economics Research Institute - Egypt
Email: emadstat@hotmail.com
WebPage: http://emadstat.110mb.com/stata.htm
WebPage at IDEAS: http://ideas.repec.org/f/psh494.html
WebPage at EconPapers: http://econpapers.repec.org/RAS/psh494.htm

lmhharv Citation

Shehata, Emad Abd Elmessih (2012)

LMHHARV: "Stata Module to Compute Harvey Lagrange Multiplier OLS Heteroscedasticity Test"

Online Help:

lmhharv, lmhwald, lmhgl (if installed).